Time consistent behavioral portfolio policy for dynamic mean–variance formulation
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DOI: 10.1057/s41274-017-0179-6
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Cited by:
- Liyuan Wang & Zhiping Chen, 2019. "Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
- Yun Shi & Xun Li & Xiangyu Cui, 2017. "Better than pre-committed optimal mean-variance policy in a jump diffusion market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 327-347, June.
- Xiangyu Cui & Yun Shi & Lu Xu, 2017. "Alleviating time inconsistent behaviors via a competition scheme," Naval Research Logistics (NRL), John Wiley & Sons, vol. 64(5), pages 357-372, August.
- Cui, Xiangyu & Gao, Jianjun & Shi, Yun & Zhu, Shushang, 2019. "Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection," European Journal of Operational Research, Elsevier, vol. 276(2), pages 781-789.
- Dong-Mei Zhu & Jia-Wen Gu & Feng-Hui Yu & Tak-Kuen Siu & Wai-Ki Ching, 2021. "Optimal pairs trading with dynamic mean-variance objective," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 145-168, August.
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Keywords
investment analysis; state-dependent risk aversion; dynamic mean–variance formulation; time consistency; behavioral portfolio policy;All these keywords.
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